通貨膨脹目標的總體經濟效果

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Title:	通貨膨脹目標的總體經濟效果
Other Titles:	The Macroeconomic Effects of Inflation Targeting
Authors:	黃河泉
Contributors:	淡江大學財務金融學系
Keywords:	通貨膨脹目標;所得分配不均;失業率;inflation targeting;income inequality;unemployment rate
Date:	2011-08
Issue Date:	2012-05-03 20:46:21 (UTC+8)
Abstract:	本篇三年期計畫主要是要分析通貨膨脹目標 (inflation targeting, IT) 所帶來之總體經濟效果。有別於當前實證研究之主題與方法，第一年計畫的主題是基於既存文獻所發現的IT與通貨膨脹之關係，然後分別結合 (i) 通貨膨脹和所得分配不均之關係、(ii) 通貨膨脹和失業率之關係；進一步探討IT對所得分配不均和失業率之(間接)影響效果。第二、三年計畫的主題是分別重新檢驗IT對 (a) 產出與通貨膨脹之牴觸關係 (output-inflation tradeoff) 或犧牲比例 (sacrifice ratio) 和 (b) (向前看)貨幣政策反映函數 (forward-looking monetary policy reaction function) 的個別影響效果。相對於現有的實證模型與方法，我們首先將分別估計一個隨時間改變係數 (time-varying parameter) 的菲利浦曲線 (Phillips curve) 和隨時間改變係數的貨幣政策反映函數，並同時允許、考慮內生性變數與異質性誤差項的情形；進一步求出 (a) 衡量牴觸關係的係數和 (b) 貨幣政策(利率)對通貨膨脹與產出缺口的反應係數，最後使用如同第一年之計畫所用的傾向分數配對 (propensity score matching) 方法，一方面可以控制採取 IT 的自我選擇問題，另一方面可讓我們得到IT對各分析主題的因果關係效果。 This three-year project plans to explore the macroeconomic effects of inflation targeting (IT). Based on the IT-inflation nexus found in the current literature, the first-year project combines, (i) the inflation-inequality link, and (ii) the inflation-unemployment link, respectively, to further investigate the (indirect) effects of IT on both income inequality and unemployment. In particular, we will rely on the propensity score matching (PSM) method to deal with the self-selection problem of adopting IT and to obtain the causal effects of IT on inequality as well as unemployment. In the second- and third-year project, we revisits the potential impacts of IT on the inflation-output tradeoff (sacrifice ratio) and the (forward-looking) monetary policy reaction function. In contrast to existing approaches, we first employ a time-varying parameter (TVP) with endogenous regressors (along with heteroskedastic disturbances) to estimate the Phillips curve and the monetary policy reaction function,respectively. Then, we obtain the time-varying inflation-output tradeoffs as well as the time-varying responses of interest rate (monetary policy) to output gaps and (expected) inflation. Finally, as in the first year, we apply the PSM approach to examine whether the adoption of IT has any causal effects on the sacrifice ratios (inflation-output tradeoffs) and monetary policy responses to output gaps and (expected) inflation.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Research Paper

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